Disclosures, Rollover Risk and Debt Runs
Carré, Sylvain (2022), Disclosures, Rollover Risk and Debt Runs, Journal of Banking and Finance, 142, p. 1-18. https://doi.org/10.1016/j.jbankfin.2022.106552
TypeArticle accepté pour publication ou publié
Journal nameJournal of Banking and Finance
MetadataShow full item record
Laboratoire d'Economie de Dauphine [LEDa]
Abstract (EN)How do opacity and disclosure policies impact short-term debt financing costs and the likelihood and cost of debt runs? I construct a dynamic model where debt yields are endogenous and mapped explicitly to the degree of transparency, the regulatory disclosure regime and the state of the economy. Different disclosure policies generate sharp differences in the rich debt and beliefs dynamics that I obtain. Short-term yields may remain low while bank’s asset quality deteriorates, and a disclosure regime might consistently induce better beliefs but imply larger financing costs. At the policy level, my model predicts that the regulator should commit to disclose except at large levels of opacity.
Subjects / KeywordsDynamic debt runs; Opacity; Disclosure policy
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